Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0204 |
| Annualized Std Dev | 0.1445 |
| Annualized Sharpe (Rf=0%) | -0.1411 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3353.0000 |
| NAs | 1.0000 |
| Minimum | -0.1310 |
| Quartile 1 | -0.0020 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0021 |
| Maximum | 0.2583 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | 4.8243 |
| Kurtosis | 226.4524 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0112 |
| Downside Deviation (Rf=0%) | 0.0063 |
| Downside Deviation (0%) | 0.0063 |
| Maximum Drawdown | 0.4879 |
| Historical VaR (95%) | -0.0084 |
| Historical ES (95%) | -0.0200 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.0066 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-12 | 2009-03-09 | NA | -0.4879 | 3340 | 310 | NA |
| 2007-11-16 | 2007-11-19 | 2007-11-28 | -0.0099 | 5 | 2 | 3 |
| 2007-11-30 | 2007-12-03 | 2007-12-04 | -0.0039 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | 0.5 | 0.3 |
| 2008 | 0.6 | -0.5 | 0.2 | 0.3 | 0.2 | -0.4 | -0.3 | 0.1 | 8.2 | 0 | 0.8 | 5.1 | 15 |
| 2009 | 1.1 | -1.2 | -0.8 | 0.8 | 0.8 | -0.1 | 0.5 | -0.2 | -1.6 | -0.7 | 0.3 | -0.2 | -1.1 |
| 2010 | 0.2 | -0.2 | 0.3 | -0.2 | -0.5 | 0.2 | 0.4 | 0.8 | 0.2 | -0.2 | 0.6 | -0.1 | 1.5 |
| 2011 | 0.3 | -0.6 | 0.1 | 0.2 | -0.3 | 0.1 | 0.2 | 0.5 | -1 | -0.5 | -0.1 | 0.5 | -0.7 |
| 2012 | 0.3 | 0.2 | -0.1 | 0.2 | -0.3 | 0.4 | 0.4 | 0.3 | 0 | 0.1 | 0.3 | 0 | 1.8 |
| 2013 | 0.1 | 0.4 | 0.4 | 0 | -0.9 | 0.5 | -0.8 | -0.2 | 0.1 | -0.2 | -0.1 | 0.1 | -0.7 |
| 2014 | 0 | 0.2 | 0.2 | -0.1 | 0.2 | 0.1 | -0.1 | 0 | 0.3 | 0.1 | -0.8 | 0.1 | 0 |
| 2015 | -0.5 | 0.1 | -0.1 | 0.3 | 0.1 | -0.2 | -0.4 | -0.4 | -0.1 | 0.1 | 0.9 | -0.1 | -0.4 |
| 2016 | -0.1 | 1.9 | 0 | 0.2 | 0.1 | 0.1 | -0.2 | 0.1 | 0.4 | -0.1 | -0.2 | 0 | 2.2 |
| 2017 | 0.1 | 0.4 | -0.2 | 0.1 | 0.2 | 0.2 | 0 | 0.2 | 0.2 | -0.1 | 0.1 | 0.2 | 1.1 |
| 2018 | -0.3 | 0.1 | 0.1 | -0.1 | 0.2 | -0.2 | -0.1 | 0 | 0.2 | 0.1 | -0.1 | 0.1 | 0.1 |
| 2019 | -0.1 | 0.2 | 0.2 | -0.2 | -0.6 | 0.2 | 0.2 | 0.1 | -0.3 | 0.2 | 0.1 | 0.1 | 0 |
| 2020 | -0.2 | 0.2 | -1.4 | -1.5 | 0.2 | 0.4 | 0.5 | 0.1 | 0.5 | 0.2 | 0.2 | 0.1 | -0.8 |
| 2021 | 0.4 | 0.8 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-15 25.2 SPY 146. -0.0144 -0.011 -0.0565 0.0057 0.0424 0.226 0.634 GLD 78.0 -2.90e-2 -0.052
2 2007-11-16 25.2 SPY 146. 0.0017 0.0045 -0.0514 0.008 0.0412 0.237 0.607 GLD 77.8 -2.60e-3 -0.0539
3 2007-11-19 25 SPY 144. -0.0139 0.0004 -0.0395 -0.0081 0.0241 0.212 0.573 GLD 77.2 -6.60e-3 -0.0135
4 2007-11-26 25.1 SPY 141. -0.0221 -0.0332 -0.0717 -0.0408 0.0002 0.193 0.498 GLD 81.3 6.00e-4 0.0457
5 2007-11-27 25.2 SPY 143. 0.0115 -0.0083 -0.0719 -0.008 0.0158 0.204 0.526 GLD 80.1 -1.48e-2 0.037
6 2007-11-28 25.4 SPY 147. 0.032 0.0172 -0.0454 0.004 0.0629 0.243 0.574 GLD 79.6 -6.60e-3 0.0013
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
